Alberto Plazzi

Universita' della Svizzera italiana

Professor of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

http://usi.to/mpy

Swiss Finance Institute

Faculty Member

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

24

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13,854

SSRN CITATIONS
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Top 4,991

in Total Papers Citations

208

CROSSREF CITATIONS

148

Scholarly Papers (24)

1.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 1,646 (20,419)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

2.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,636 (20,595)
Citation 7

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real estate, predictability, market efficiency, REIT

3.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,327 (28,185)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

4.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,161 (34,252)
Citation 24

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risk, return, financial crisis, flight-to-safety

5.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 1,029 (40,685)
Citation 15

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Cap rate, real estate, return predictability

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 384 (141,429)

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volatility forecasting, multi-period forecasts, mixed-data sampling

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
American University of Sharjah, Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 705 (67,080)
Citation 12

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni and Alberto Plazzi
Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 134 (389,737)
Citation 9

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence from Hedge Fund Trades

CEPR Discussion Paper No. DP13645
Number of pages: 46 Posted: 09 Apr 2019
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and American University of Sharjah
Downloads 1 (1,158,366)
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

8.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Swiss Finance Institute Research Paper No. 17-53, Published, Management Science, 2019, Vol. 65:11, 5268–5289
Number of pages: 59 Posted: 18 Oct 2013 Last Revised: 05 Mar 2021
Rutgers University, New Brunswick, University of Notre Dame, University of Konstanz - Department of Economics and Universita' della Svizzera italiana
Downloads 822 (55,566)
Citation 21

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Libor, manipulation, financial market misconduct, enforcement

9.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers University, New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 670 (72,698)
Citation 1

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Financial crisis, Financial firms, Banking, Government bailouts

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Swiss Finance Institute Research Paper No. 21-30
Number of pages: 73 Posted: 14 Apr 2021 Last Revised: 05 Apr 2024
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 469 (111,969)

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Public Guarantees

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

SAFE Working Paper No. 331
Number of pages: 68 Posted: 14 Dec 2021 Last Revised: 15 Mar 2022
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 174 (313,396)
Citation 3

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Bailout

11.

Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Swiss Finance Institute Research Paper No. 16-54
Number of pages: 40 Posted: 09 Sep 2016 Last Revised: 05 Dec 2019
Alberto Plazzi, Walter N. Torous and Umit Yilmaz
Universita' della Svizzera italiana, Massachusetts Institute of Technology and Georgetown University - McDonough School of Business
Downloads 579 (87,350)

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corporate governance, AGR, operating performance

12.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Management Science, vol. 67, n. 12, pp. 7888–7911, 2021. https://doi.org/10.1287/mnsc.2020.3847
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 27 Dec 2023
Ca Foscari University of Venice - Dipartimento di Economia, QIO Quantitative Investment Office, Universita' della Svizzera italiana and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 437 (123,033)
Citation 2

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Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

13.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 56 Posted: 10 Feb 2016 Last Revised: 21 Jun 2022
Man AHL, University of Konstanz - Department of Economics and Universita' della Svizzera italiana
Downloads 435 (123,715)

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hedge funds, social ties, networks, abnormal performance

14.

Dissecting the Yield Curve: The International Evidence

Journal of Banking and Finance, Vol. 134, 2022. https://doi.org/10.1016/j.jbankfin.2021.106286
Number of pages: 63 Posted: 24 Jun 2019 Last Revised: 27 Dec 2023
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Universita' della Svizzera italiana
Downloads 388 (141,017)
Citation 13

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Term structure, term premia, yield volatility, macro factors, comovement

15.

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 382 (143,481)

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Commercial real estate, cross-sectional volatility, total risk

16.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Forecast Combination meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 53 Posted: 08 Mar 2021 Last Revised: 03 Dec 2021
Matteo Garzoli, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 354 (156,172)
Citation 1

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 213 (260,584)
Citation 2

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

SAFE Working Paper No. 276
Number of pages: 51 Posted: 14 May 2020 Last Revised: 21 Dec 2021
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 135 (387,411)
Citation 3

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Sovereign credit risk, Monetary policy, Quantitative easing, Mundellian trilemma, Comovement

18.

Diversification by U.S. Banks: True Safety or a False Sense of Security?

Swiss Finance Institute Research Paper No. 16-43
Number of pages: 53 Posted: 02 Jul 2016 Last Revised: 21 Feb 2024
Saurabh Ahluwalia, Priyank Gandhi and Alberto Plazzi
University of New Mexico - Department of Finance, International, and Techology (FIT), Rutgers University, New Brunswick and Universita' della Svizzera italiana
Downloads 303 (184,414)
Citation 1

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Bank diversification, Non-interest income, Systemic risk, Financial crisis

19.

Inflation Risk Premia, Yield Volatility and Macro Factors

Swiss Finance Institute Research Paper No. 18-13, Published, Journal of Financial Econometrics, 2019, Vol. 17:3, 397–431
Number of pages: 51 Posted: 30 Jan 2018 Last Revised: 26 Dec 2023
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Universita' della Svizzera italiana
Downloads 225 (248,297)
Citation 4

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Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors

Financial Intermediaries and Demand for Duration

Swiss Finance Institute Research Paper No. 23-94
Number of pages: 69 Posted: 19 Oct 2023
Alberto Plazzi, Andrea Tamoni and Marco Zanotti
Universita' della Svizzera italiana, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and USI Lugano
Downloads 142 (372,158)

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Institutional demand, Equity duration, Long-term investors, Capital constraints

Financial Intermediaries and Demand for Duration

Swiss Finance Institute Research Paper No. 23-94
Posted: 19 Oct 2023
Alberto Plazzi, Andrea Tamoni and Marco Zanotti
Universita' della Svizzera italiana, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and USI Lugano
Downloads 1 (1,158,366)

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Institutional demand, Equity duration, Long-term investors, Capital constraints

21.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 79 Posted: 20 Jun 2016 Last Revised: 30 Jan 2023
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers University, New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 57 (664,170)
Citation 13

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22.

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

Number of pages: 49 Posted: 20 Dec 2021
Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Padua - Department of Statistical Sciences and Universita' della Svizzera italiana
Downloads 45 (736,819)

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Sovereign credit risk, Monetary Policy, Quantitative easing, Mundellian trilemma, Comovement

23.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

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24.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate